提出频域-时域联合分析方法,提升时间序列预测精度与速度
FreqCycle: A Multi-Scale Time-Frequency Analysis Method for Time Series Forecasting
- 设计时频双模块:时域学周期模式,频域增强中高频能量
- 在7个数据集上达到领先性能,推理速度更快
- 适合处理多周期耦合、长时序依赖的复杂预测场景
挖掘时频特征对时间序列预测至关重要。现有研究主要聚焦于低频模式建模,而中高频特征被忽视,制约了深度学习模型的进一步提升。本文提出FreqCycle框架,包含两个核心模块:(i) Filter-Enhanced Cycle Forecasting (FECF) 模块,在时域显式学习共享周期模式以提取低频特征;(ii) Segmented Frequency-domain Pattern Learning (SFPL) 模块,通过可学习滤波器和自适应加权增强中高频能量占比。此外,时间序列常呈现嵌套多周期性(如日、周周期交织),为应对多周期耦合及长回溯窗口挑战,我们层次化扩展为MFreqCycle,通过跨尺度交互解耦嵌套周期特征。在七个不同领域的基准数据集上进行的大量实验表明,FreqCycle不仅达到当前最优预测精度,且具备更快速的推理速度,实现了性能与效率的平衡。
原文摘要 · Abstract (English)
Mining time-frequency features is critical for time series forecasting. Existing research has predominantly focused on modeling low-frequency patterns, where most time series energy is concentrated. The overlooking of mid to high frequency continues to limit further performance gains in deep learning models. We propose FreqCycle, a novel framework integrating: (i) a Filter-Enhanced Cycle Forecasting (FECF) module to extract low-frequency features by explicitly learning shared periodic patterns in the time domain, and (ii) a Segmented Frequency-domain Pattern Learning (SFPL) module to enhance mid to high frequency energy proportion via learnable filters and adaptive weighting. Furthermore, time series data often exhibit coupled multi-periodicity, such as intertwined weekly and daily cycles. To address coupled multi-periodicity as well as long lookback window challenges, we extend FreqCycle hierarchically into MFreqCycle, which decouples nested periodic features through cross-scale interactions. Extensive experiments on seven diverse domain benchmarks demonstrate that FreqCycle achieves state-of-the-art accuracy while maintaining faster inference speeds, striking an optimal balance between performance and efficiency.
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